Python-based risk management tool which sources data from Yahoo Finance and calculates different types of Value-at-Risk (VaR) metrics and many other risk/return characteristics both on an individual stock and portfolio-basis, stand-alone and vs. a benchmark of choice (constructed with wxPython)
This wxPython Notebook-app / widget allows one to retrieve stock / index data from Yahoo Finance through Pandas Datareader which are in turn combined with initial portfolio weights and a benchmark of choice to calculate the following risk / return metrics:
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Historic returns (annual & daily - both an individual stock-, benchmark- and portfolio basis)
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Historic standard deviation of returns (annual & daily - both an individual stock-, benchmark- and portfolio basis)
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Annual Sharpe ratios (both an individual stock-, benchmark- and portfolio basis)
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Beta's (both an individual stock-, benchmark- and portfolio basis)
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Ex-post tracking error vs. the benchmark of choice
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Daily return histograms on an individual stock- and portfolio basis
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Indexed performance charts on an individual stock- and portfolio basis
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5% (daily) Historical Simulation Value-at-Risk (VaR) on an individual stock- and portfolio basis
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5% (daily) Variance-Covariance Value-at-Risk (VaR) on an individual stock- and portfolio basis
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5% (daily) Monte Carlo simulated (along Geometric Brownian Motion) Value-at-Risk (VaR) on an individual stock basis
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stock return correlation heatmap
In addition, the data retrieved from Yahoo Finance can be exported in CSV-format through the checkbox on the MainFrame.
Please note - this app requires the following packages / modules in order to function properly:
